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If Sauron was victorious, & Gandalf was a slave, he could kill himself & his 'spirit' return to valinor!
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Absolutely not. Gandalf (and the wziards) were so bound to their physical body as old men that when they died, their fea (spirit) would leave the world just like a man's fea would. Gandalf's spirit did not return to Valinor when he died to begin with. It went outside of the world where it began and Eru himself (the only one with the ability to do so) sent Gandalf back. Should Gandalf do something as dishonorable as suicide, he certainly would not have been sent back.
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Doesn't that mean that he could not be killed? Of course Gandalf could have meant that his "spirit" could not be harmed but if Gimli would have succeeded to chop his head of, the surviving of Gandalf's spirit wouldn't really had helped Middle-earth and some harm would have been done. So I would say that Gandalf could not be killed.
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No, he could be killed. He means that they would not be able to because he could withstand and ultimately block, reject, and destroy their weapons. They aren't strong enough to, in other words. Should he be tied down and unconscious, for example, I suppose they could've beheaded him, but such a situation is not in the least bit realistic.